KOGI STATE
Faculty of Management Sciences
Journal of MANAGEMENT
ISSN: 3212 - 3122
RANDOM WALK HYPOTHESIS AND SECURITY RETURN IN NIGERIA (1986-2017)
Omuemu Stanley Osasere & Hambolu Victor Olufunsho
Abstract
This study examines the random walk hypothesis on security returns in the Nigeria. The primary objective
was to test random walk hypothesis on security returns in the Nigeria capital market.This study made use of
annual data collected from the Nigerian stock exchange (NSE) between 1986- 2017. However, in order to
validate the random walk theory in the Nigeria bourse, unit root test was adopted and the hypothesis was
tested at a critical value of 5% and 10% respectively. The findings from the analysis reveal that the Nigeria
capital market is currently nonrandom. This implies that and participant can outperform the market with
past return if they can efficiently allocate their asset. We therefore recommended that investors should put
into consideration the trend of movement of returns in other to maximize their portfolio.
Keywords
Random walk hypothesis, Nigerian stock exchange, Unit root, Autocorrelation and weak form efficiency
Full Article
UNIVERSITY, ANYIGBA
